• EUR/USD regains 1.1100 - massive FX option strike expiries and related hedging flows can help contain

• DTCC traded options data shows €9-billion between 1.1070-1.1125 - the bulk between 1.1095-1.1125

• Benchmark 1-month implied volatility retreats below 6.0 after Wed's lift from 5.75 to 6.25, other dates ease, too

• Recall that 6.25 was well below early October's multi month highs at 7.25

• 1-month 25 delta risk reversals up from 0.15 to 0.45 this week, now 0.4 - also well below early Oct peak at 1.6

• This week's USD and option gains lacked the panic demand seen through late Sep-early Oct - suggested downside limited

• 1.1000 holds bigger option barriers and triggers. Expect a higher perceived threat to 1.10 to lift vols and EUR put demand
EUR/USD FXO implied volatility


EUR/USD 25 delta risk-reversals

(Richard Pace is a Reuters market analyst. The views expressed are his own)